Optimization heuristics in econometrics. Applications of threshold accepting (Q2784327)

The aim of this book is to demonstrate optimization heuristics as being successfully applied to various problems in statistics and econometrics when standard approaches fail. The threshold accepting heuristic is chosen as a very efficient representative in the class of optimization heuristics. The book consists of three parts.NEWLINENEWLINENEWLINEPart I gives a general introduction to economics, statistics and econometrics, based on some optimization principles (Ch. 2). It is a first access to optimization heuristics with economic and statistical background. This should provide the reader with an intuitive understanding as to why optimization heuristics might be a useful tool in statistics and econometrics, in order to become acquainted with the basic skills for implementing such heuristics. The material provides different optimization techniques and focuses on complexity issues as a main argument for heuristic optimization paradigms (Chs. 3 and 4).NEWLINENEWLINENEWLINEPart II gives an outline of several optimization methods and different approaches which can be used for classifying the threshold heuristics, and its properties, performance and tuning. It provides the exact description of threshold accepting applying standard tools to the resulting optimization problems: proceeding, relative performance, choice of parameters, results of comparative implementations, and a three-step practical guide to the implementation (Chs. 5-9).NEWLINENEWLINENEWLINEPart III shows some implementations of threshold accepting in econometrics and statistics providing details of the functioning of the algorithms and touching typical tasks encountered in these areas. After an elementary introduction and overview on the different fields of applications (Ch. 10), Chs. 11-15 cover the applications: experimental design, identification of multivariate lag-structures, optimal aggregation, censored quantile regression, and continuous global optimization.NEWLINENEWLINENEWLINEThe book is recommended to researchers working in statistics, econometrics and operations research, and for those who are interested in the tools for applying optimization heuristic methods to real problems in their work. For postgraduate students the book provides a valuable introduction to optimization heuristics.